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A Robust Predictive Model for Stock Price Prediction Using Deep Learning and Natural Language Processing
Mehtab, Sidra; Sen, Jaydip - 2020
Prediction of future movement of stock prices has been a subject matter of many research work. There is a gamut of literature of technical analysis of stock prices where the objective is to identify patterns in stock price movements and derive profit from it. Improving the prediction accuracy...
Persistent link: https://www.econbiz.de/10014094821
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Forecasting Oil Prices With Penalized Regressions, Variance Risk Premia and Google Data
Lycheva, Maria; Mironenkov, Alexey; Kurbatskii, Alexey; … - 2023
This paper investigates whether augmenting models with the variance risk premium (VRP) and Google search data improves …
Persistent link: https://www.econbiz.de/10014349277
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Long memory persistence in the factor of Implied volatility dynamics
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2007
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IVS). Practical applications require reducing the dimension and characterize its dynamics through a small number of factors. Such dimension reduction is...
Persistent link: https://www.econbiz.de/10003633787
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Value-at-risk and expected shortfall when there is long range dependence
Härdle, Wolfgang (contributor); Mungo, Julius (contributor) - 2008
-term contracts. On the other hand, recent focus is on whether long memory can affect the measurement of market risk in the context of … Value-at- Risk (V aR). In this paper, we evaluate the Value-at-Risk (V aR) and Expected Shortfall (ESF) in financial markets … proper risk valuation of options, the degree of persistence should be investigated and appropriate models that incorporate …
Persistent link: https://www.econbiz.de/10003636008
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
This paper contains comments on Nonparametric Tail Risk, Stock Returns and the Macroeconomy …
Persistent link: https://www.econbiz.de/10011518800
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Predictability of Risk Measures in International Stock Markets
Bali, Turan G. - 2012
This paper investigates the predictability of variance and value at-risk (VaR) measures in international stock markets … determine the persistency of these risk measures. We find that for all G7 countries considered in the paper persistency in …
Persistent link: https://www.econbiz.de/10013116934
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Predicting stock returns : a risk measurement perspective
Dai, Zhifeng; Kang, Jie; Wen, Fenghua - In: International review of financial analysis 74 (2021), pp. 1-14
Persistent link: https://www.econbiz.de/10012803806
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Künstliche neuronale Netze zur Risikomessung bei Aktien und Renten : am Beispiel deutscher Lebensversicherungsunternehmen
Rauscher, Markus - 2004 - 1. Aufl.
Persistent link: https://www.econbiz.de/10013420595
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Prediction risk and the forecasting of stock market indexes
Häfke, Christian; Helmenstein, Christian - 1995
In most of the empirical research on capital markets, stock market indexes are used as proxies for the aggregate market development. In previous work we found that a particular market segment might be less efficient than the whole market and hence easier to forecast. In this paper we extend the...
Persistent link: https://www.econbiz.de/10009696691